********************* FM code file for Prisk and Crash *********************

/*
Please cite:
Hossain, A. T., Masum, A. A., Hasan, M. M., Li, D., & Xu, J. (2024). The disclosure perspective of firm‐specific political risk measure from conference calls. Financial Management.

We cannot share entire databases for licensing constraints. We used standard data sets and you can read our paper to get the names of them.

Some of us have coauthors who supplied us with specialized data and we cannot share that fully. For example, Attig et al. data.

Sautner et al. and Li et al. data are publicly available. 

Please contact corresponding author Dr. Ash Hossain. We are providing his gmail email as that is more permanent. ashossai@gmail.com



*/


**Baseline

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**Firm and Year FE - two way cluster

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey year) vce (cluster gvkey year) keepsingletons


**Ind. and Year FE - two way cluster

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (ff48 year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (ff48 year) vce (cluster gvkey year) keepsingletons


**Summary stats and pearson

tabstat lead_NCSKEW_w lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1., statistics (n mean sd  p10 p25 p50 p75 p90 ) col (stat)

asdoc pwcorr lead_NCSKEW_w lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, star(all) replace nonum

 
**NET FILE SIZE - NOTRE DAME

gen lognetsilesize = log(NetFileSize)

reghdfe lead_NCSKEW_w PRisk_yr_w lognetsilesize PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w lognetsilesize PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**10-K COMPLEXITY - NOTRE DAME

reghdfe lead_NCSKEW_w PRisk_yr_w complexity PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w complexity PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**BOG INDEX

reghdfe lead_NCSKEW_w PRisk_yr_w lnbog PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w lnbog PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**FOG INDEX

reghdfe lead_NCSKEW_w PRisk_yr_w fog PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w fog PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**CSR during call (%CSR) from Attig et al. 2023

reghdfe lead_NCSKEW_w PRisk_yr_w pcsr_dictpercent_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w pcsr_dictpercent_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**CSR during call presentation (%CSR Pre) from Attig et al. 2023

reghdfe lead_NCSKEW_w PRisk_yr_w pcsr_dictpercent_pre_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w pcsr_dictpercent_pre_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons
**SAUTNER CLIMATE CHANGE RISK

reghdfe lead_NCSKEW_w PRisk_yr_w cc_expo PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w cc_expo PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**LI ET AL RFS PAPER CLIMATE RISK DISCLOSURE

reghdfe lead_NCSKEW_w PRisk_yr_w tran_risk_w_std PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w tran_risk_w_std PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**ANALYST FORECAST DISPERSION

reghdfe lead_NCSKEW_w PRisk_yr_w sdest_fp2 PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w sdest_fp2 PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**FORECAST ERROR - ABS (ACTUAL - CONSENSUS)

reghdfe lead_NCSKEW_w PRisk_yr_w forecast_error_consensusmean  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w forecast_error_consensusmean  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**BID-ASK Spread

reghdfe lead_NCSKEW_w PRisk_yr_w bidask  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w bidask  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**DQ from Chen et al.

reghdfe lead_NCSKEW_w PRisk_yr_w dq  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w dq  PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if yes==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


** COMPONENTS
 
reghdfe lead_NCSKEW_w PRiskT_economic_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_economic_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


reghdfe lead_NCSKEW_w PRiskT_environment_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_environment_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


reghdfe lead_NCSKEW_w PRiskT_trade_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_trade_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


reghdfe lead_NCSKEW_w PRiskT_institutions_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_institutions_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


reghdfe lead_NCSKEW_w PRiskT_health_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_health_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRiskT_security_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_security_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


reghdfe lead_NCSKEW_w PRiskT_tax_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_tax_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRiskT_technology_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRiskT_technology_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**Entropy

ebalance high_prisk PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, target(3)


reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w [pweight=_webal], absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w [pweight=_webal], absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

**PSM

psmatch2 high_prisk PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w i.year, caliper (0.001) logit noreplacement
pstest

**B=3.4; R=0.99


**post-match
reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if _weight==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if _weight==1, absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**change regression

xtset gvkey year

reghdfe d.lead_NCSKEW_w d.(PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w), absorb (gvkey year) vce (cluster gvkey year) keepsingletons

reghdfe d.lead_DUVOL_w d.(PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w), absorb (gvkey year) vce (cluster gvkey year) keepsingletons

reghdfe d.lead_NCSKEW_w d.(PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w), noabsorb vce (cluster gvkey year) keepsingletons

reghdfe d.lead_DUVOL_w d.(PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w), noabsorb  vce (cluster gvkey year) keepsingletons
 
** entrenchment

gen high_eindex=0
replace high_eindex = 1 if eindex>medianeindex
replace high_eindex = . if eindex==.

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if high_eindex==1  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if high_eindex==0  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if high_eindex==1  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if high_eindex==0  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

** hostile index

xtile hostileindex_ter = hostile_index, nquantiles(3)

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if hostileindex_ter==3 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if hostileindex_ter==1 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if hostileindex_ter==3  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if hostileindex_ter==1  , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**board independence

egen medianpct_independenc=median( pctindbd)
gen highpct_independenc=0

replace highpct_independenc=1 if pctindbd>medianpct_independenc
replace highpct_independenc=. if pctindbd==.

xtile bdind_ter = pctindbd, nquantiles(3)

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highpct_independenc==1 & bdind_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highpct_independenc==0 & bdind_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highpct_independenc==1 & bdind_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highpct_independenc==0 & bdind_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**analyst following

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highnumanalyst==1 & analyst_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highnumanalyst==0 & analyst_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highnumanalyst==1 & analyst_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if highnumanalyst==0 & analyst_ter!=2 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**Financial statement comparability

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if indmd_acctcomp_ter==3 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if indmd_acctcomp_ter==1 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if indmd_acctcomp_ter==3 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w if indmd_acctcomp_ter==1 , absorb (gvkey ff48year) vce (cluster gvkey year) keepsingletons


**CEO and ind-year FE

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (EXECID ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (EXECID ff48year) vce (cluster gvkey year) keepsingletons

**State and ind-year FE

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb ( state ff48year) vce (cluster gvkey year) keepsingletons
reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb ( state ff48year) vce (cluster gvkey year) keepsingletons

**Spell and ind-year FE

reghdfe lead_NCSKEW_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (CO_PER_ROL ff48year) vce (cluster gvkey year) keepsingletons

reghdfe lead_DUVOL_w PRisk_yr_w PSentiment_yr_w sizeta_w LEV_w mbasset_w ROA_w SIGMA_w RET_w DTURN_w NCSKEW_w res_mjones_abs_3_yr_w, absorb (CO_PER_ROL ff48year) vce (cluster gvkey year) keepsingletons


